BTC PPO Strategy VS Buy&Hold
1 Jan, 2024 - 30 Jun, 2024

Benchmark is BTC BUY&HOLD | Generated by QuantStats (v. 0.0.62)

Key Performance Metrics

Metric	BTC Buy&Hold	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	20.0%

Cumulative Return	49.67%	24.27%
CAGR﹪	75.32%	35.32%

Sharpe	0.03	0.04
Prob. Sharpe Ratio	86.41%	88.3%
Smart Sharpe	0.03	0.03
Sortino	0.05	0.05
Smart Sortino	0.04	0.05
Sortino/√2	0.03	0.04
Smart Sortino/√2	0.03	0.03
Omega	1.02	1.02

Max Drawdown	-23.42%	-18.09%
Longest DD Days	109	105
Volatility (ann.)	1.44%	0.62%
R^2	0.18	0.18
Information Ratio	-0.0	-0.0
Calmar	3.22	1.95
Skew	-0.79	-1.33
Kurtosis	39.04	260.04

Expected Daily	0.0%	0.0%
Expected Monthly	6.95%	3.69%
Expected Yearly	49.67%	24.27%
Kelly Criterion	0.5%	0.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.15%	-0.06%
Expected Shortfall (cVaR)	-0.15%	-0.06%

Max Consecutive Wins	16	9
Max Consecutive Losses	14	8
Gain/Pain Ratio	0.34	0.47
Gain/Pain (1M)	2.61	4.76

Payoff Ratio	0.99	0.99
Profit Factor	1.01	1.02
Common Sense Ratio	1.01	1.04
CPC Index	0.5	0.51
Tail Ratio	1.0	1.02
Outlier Win Ratio	3.53	33.01
Outlier Loss Ratio	3.47	3.62

MTD	-6.35%	0.76%
3M	-9.38%	17.72%
6M	49.67%	24.27%
YTD	49.67%	24.27%
1Y	49.67%	24.27%
3Y (ann.)	75.32%	35.32%
5Y (ann.)	75.32%	35.32%
10Y (ann.)	75.32%	35.32%
All-time (ann.)	75.32%	35.32%

Best Day	1.92%	1.92%
Worst Day	-3.45%	-2.93%
Best Month	46.4%	12.33%
Worst Month	-14.77%	-5.81%
Best Year	49.67%	24.27%
Worst Year	49.67%	24.27%

Avg. Drawdown	-0.76%	-0.4%
Avg. Drawdown Days	2	2
Recovery Factor	2.18	1.31
Ulcer Index	0.11	0.07
Serenity Index	0.02	0.01

Avg. Up Month	24.53%	8.04%
Avg. Down Month	-0.72%	-5.81%
Win Days	50.38%	50.56%
Win Month	50.0%	83.33%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%

Beta	-	0.18
Alpha	-	0.0
Correlation	-	42.75%
Treynor Ratio	-	132.75%

EOY Returns vs Benchmark

Year	BTC Buy&Hold	Strategy	Multiplier	Won
2024	49.67	24.27	0.49	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2024-01-02	2024-04-15	-18.09	105
2024-04-28	2024-05-01	-3.10	3
2024-05-20	2024-06-30	-2.52	42
2024-04-15	2024-04-17	-2.12	2
2024-05-10	2024-05-14	-1.89	4
2024-04-19	2024-04-28	-1.83	9
2024-04-17	2024-04-18	-1.72	2
2024-05-01	2024-05-02	-1.67	1
2024-05-08	2024-05-10	-1.61	3
2024-05-14	2024-05-15	-1.27	1